Backtesting Beijing Stock Exchange Shares with Daily Data
Summary
This brief platform support note explains a data limitation affecting backtests for Beijing Stock Exchange equities. It says the platform provides daily price data for these shares but has no minute-level data. As a result, a backtest that requests VWAP or TWAP prices may fail, because those execution prices are calculated from intraday minute data.
The suggested workaround is to configure simulated buy and sell prices using the daily open or close instead. This can allow the backtest to run, but it changes the price assumption: daily open or close does not reproduce intraday VWAP or TWAP execution. The note does not provide code, a test comparison, or evidence about resulting performance, and its description applies to the platform and data availability at the time of the post. It is useful chiefly as a practical constraint to check when building backtests for this market, rather than as a trading strategy or a general execution model.
Key ideas
- The platform note reports daily data availability for Beijing Stock Exchange shares but no minute data.
- VWAP and TWAP backtest prices require intraday data and may not work for these shares.
- Using daily open or close prices is offered as a way to make the backtest run.
- Daily open and close assumptions do not model intraday VWAP or TWAP execution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.